Référence

Jos Van Bommel (University of Luxembourg), « Asymmetric Information and the Distribution of Trading Volume », Fédération des Banques Françaises Seminar, TSE, 12 novembre 2018, 12h30–14h00, salle MF 323.

Résumé

We propose the Volume Coefficient of Variation (VCV), the ratio of the standard deviation to the mean of trading volume, as a new and easily computable measure of information asymmetry in security markets. We use a microstructure model to demonstrate that VCV is strictly increasing in the proportion of informed trade. Empirically, we find that firm-year observations of VCV, computed from daily trading volumes, are correlated with extant firm-level measures of asymmetric information in the crosssection of US stocks. Moreover, VCV increases following exogenous reductions in analyst coverage induced by brokerage closures, and steeply decreases around earnings announcements.